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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Marco Bianchetti
Copyright (C) 2006, 2007 Giorgio Facchinetti
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file cmsmarket.hpp
\brief set of CMS quotes
*/
#ifndef quantlib_cms_market_h
#define quantlib_cms_market_h
#include <ql/cashflows/conundrumpricer.hpp>
#include <ql/math/matrix.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
class CmsCouponPricer;
class Swap;
class SwapIndex;
class IborIndex;
class YieldTermStructure;
//! set of CMS quotes
class CmsMarket: public LazyObject{
public:
CmsMarket(
const std::vector<Period>& swapLengths,
const std::vector<boost::shared_ptr<SwapIndex> >& swapIndexes,
const boost::shared_ptr<IborIndex>& iborIndex,
const std::vector<std::vector<Handle<Quote> > >& bidAskSpreads,
const std::vector<boost::shared_ptr<HaganPricer> >& pricers,
const Handle<YieldTermStructure>& discountingTS);
//! \name LazyObject interface
//@{
void update() { LazyObject::update();}
//@}
// called during calibration procedure
void reprice(const Handle<SwaptionVolatilityStructure>& volStructure,
Real meanReversion);
// inspectors ...
const std::vector<Period>& swapTenors() const { return swapTenors_;}
const Matrix& impliedCmsSpreads() { return mdlSpreads_; }
const Matrix& spreadErrors() { return errSpreads_; }
Matrix browse() const;
// cms market calibration methods (they haven't Lazy behaviour)
Real weightedSpreadError(const Matrix& weights);
Real weightedSpotNpvError(const Matrix& weights);
Real weightedFwdNpvError(const Matrix& weights);
Disposable<Array> weightedSpreadErrors(const Matrix& weights);
Disposable<Array> weightedSpotNpvErrors(const Matrix& weights);
Disposable<Array> weightedFwdNpvErrors(const Matrix& weights);
private:
void performCalculations() const;
Real weightedMean(const Matrix& var,
const Matrix& weights);
Disposable<Array> weightedMeans(const Matrix& var,
const Matrix& weights);
std::vector<Period> swapLengths_;
std::vector<boost::shared_ptr<SwapIndex> > swapIndexes_;
boost::shared_ptr<IborIndex> iborIndex_;
std::vector<std::vector<Handle<Quote> > > bidAskSpreads_;
std::vector<boost::shared_ptr<HaganPricer> > pricers_;
Handle<YieldTermStructure> discTS_;
Size nExercise_;
Size nSwapIndexes_;
std::vector<Period> swapTenors_;
mutable Matrix spotFloatLegNPV_, spotFloatLegBPS_;
// market spreads
mutable Matrix mktBidSpreads_, mktAskSpreads_, mktSpreads_;
// model (mid) spreads
mutable Matrix mdlSpreads_;
// differences between market and model mid spreads
mutable Matrix errSpreads_;
// market mid prices of spot starting Cms Leg
mutable Matrix mktSpotCmsLegNPV_;
// model mid prices of spot starting Cms Leg
mutable Matrix mdlSpotCmsLegNPV_;
// Differences between mdlSpotCmsLegNPV_ and mktSpotCmsLegNPV_
mutable Matrix errSpotCmsLegNPV_;
// market mid prices of forward starting Cms Leg
mutable Matrix mktFwdCmsLegNPV_;
// model mid prices of forward starting Cms Leg
mutable Matrix mdlFwdCmsLegNPV_;
// Differences between mdlFwdCmsLegNPV_ and mktFwdCmsLegNPV_
mutable Matrix errFwdCmsLegNPV_;
std::vector<std::vector<boost::shared_ptr<Swap> > > spotSwaps_;
std::vector<std::vector<boost::shared_ptr<Swap> > > fwdSwaps_;
};
}
#endif
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